How to install the Azure Operational Insights agent on an Azure VM using PowerShell

Most of the Azure VM extensions have their own specialized PowerShell cmdlets to configure them, e.g. Set-AzureAccessExtension, Set-AzureVMBGInfoExtension, Set-AzureVMMicrosoftAntimalwareExtension etc. But you can also, to some extent, use the generic Set-AzureVMExtension. The example below show how to use it to install and configure the Operational Insights agent/extension in your Azure VM: